Smokers often report an anxiolytic effect of cigarettes. In addition, stress-related disorders such as anxiety, post-traumatic stress syndrome and depression are often associated with chronic nicotine use. To study the role of the α5 nicotinic acetylcholine receptor subunit in anxiety-related responses, control and α5 subunit null mice (α5−/−) were subjected to the open field activity (OFA), light–dark box (LDB) and elevated plus maze (EPM) tests. In the OFA and LDB, α5−/− behaved like wild-type controls. In the EPM, female α5−/− mice displayed an anxiolytic-like phenotype, while male α5−/− mice were undistinguishable from littermate controls. We studied the hypothalamus–pituitary–adrenal axis by measuring plasma corticosterone and hypothalamic corticotropin-releasing factor. Consistent with an anxiolytic-like phenotype, female α5−/− mice displayed lower basal corticosterone levels. To test whether gonadal steroids regulate the expression of α5, we treated cultured NTera 2 cells with progesterone and found that α5 protein levels were upregulated. In addition, brain levels of α5 mRNA increased upon progesterone injection into ovariectomized wild-type females. Finally, we tested anxiety levels in the EPM during the estrous cycle. The estrus phase (when progesterone levels are low) is anxiolytic-like in wild-type mice, but no cycle-dependent fluctuations in anxiety levels were found in α5−/− females. Thus, α5-containing neuronal nicotinic acetylcholine receptors may be mediators of anxiogenic responses, and progesterone-dependent modulation of α5 expression may contribute to fluctuations in anxiety levels during the ovarian cycle.